Kalman filter precision and speed

Estimation ML/Bayesian estimation
1

Hello All,

I wonder if anyone has an idea about the fact that the Kalman filter is a tradeoff between precision and speed? What do they mean by precision and speed here?

Thanks,
Ahmad

2

Do you have any reference (I mean a paper) supporting this statement? I suppose it is relative to another approach, but which one and for doing what (evaluation of the likelihood or estimation of the latent variables)?

Best,
Stéphane.

3

Hi Stepan,

Thank you so much for the prompt reply. I don’t have any reference, it is a question from a professor regarding the use of the Kalman filter to estimate the position of a moving car.

Thanks,

4

Ah… This forum is not about physics (or cars) but about the simulation/estimation of macroeconomic models with Dynare. I am not sure you will find any help here… Especially if you don’t know more precisely what you’re asking for.

Best,
Stéphane

5

Thank you so much.

Regards,
Ahmad